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Utility maximization with current utility on the wealth : regularity of solutions to the HJB equation
Federico, Salvatore; Gassiat, Paul; Gozzi, Fausto - In: Finance and stochastics 19 (2015) 2, pp. 415-448
Persistent link: https://www.econbiz.de/10011418169
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A model for a large investor trading at market indifference prices : I: single-period case
Bank, Peter; Kramkov, Dmitry - In: Finance and stochastics 19 (2015) 2, pp. 449-472
Persistent link: https://www.econbiz.de/10011418186
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Horizon dependence of utility optimizers in incomplete models
Larsen, Kasper; Yu, Hang - In: Finance and stochastics 16 (2012) 4, pp. 779-801
Persistent link: https://www.econbiz.de/10009623531
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Comonotone Pareto optimal allocations for law invariant robust utilities on L 1
Ravanelli, Claudia; Svindland, Gregor - In: Finance and stochastics 18 (2014) 1, pp. 249-269
Persistent link: https://www.econbiz.de/10010235452
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Pseudo linear pricing rule for utility indifference valuation
Henderson, Vicky; Liang, Gechun - In: Finance and stochastics 18 (2014) 3, pp. 593-615
Persistent link: https://www.econbiz.de/10010395991
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Utility maximization and risk-minimization in life and pension insurance
Nielsen, Peter Holm - In: Finance and stochastics 10 (2006) 1, pp. 75-97
Persistent link: https://www.econbiz.de/10003234952
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Duality theory for robust utility maximisation
Bartl, Daniel; Kupper, Michael; Neufeld, Ariel - In: Finance and stochastics 25 (2021) 3, pp. 469-503
Persistent link: https://www.econbiz.de/10012585983
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Concavity, stochastic utility, and risk aversion
Jarrow, Robert A.; Li, Siguang - In: Finance and stochastics 25 (2021) 2, pp. 311-330
Persistent link: https://www.econbiz.de/10012499688
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Evolution of the Arrow-Pratt measure of risk-tolerance for predictable forward utility processes
Strub, Moris S.; Zhou, Xun Yu - In: Finance and stochastics 25 (2021) 2, pp. 331-358
Persistent link: https://www.econbiz.de/10012499731
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Robust utility maximisation in markets with transaction costs
Chau, Huy N.; Rásonyi, Miklós - In: Finance and stochastics 23 (2019) 3, pp. 677-696
Persistent link: https://www.econbiz.de/10012023760